Equity market integration in emerging Balkan markets

This paper examines long-run relationships among five Balkan emerging stock markets (Turkey, Romania, Bulgaria, Croatia, Serbia), the United States and three developed European markets (UK, Germany, Greece), during the period 2000-2009. Conventional, regime-switching cointegration tests and Monte Carlo simulation provide evidence in favour of a long-run cointegrating relationship between the Balkan emerging markets within the region and globally. Moreover, we apply the Asymmetric Generalized Dynamic Conditional Correlation (AG-DCC) multivariate GARCH model of Cappiello et al. (2006), in order to capture the impact of the 2007-2009 financial crisis on the time-varying correlation dynamics among the developed and the Balkan stock markets. Results show that stock market dependence is heightened, supporting the herding behaviour during the 2008 stock market crash period. Our findings have important implications for international portfolio diversification and the effectiveness of domestic policies, as these emerging markets are exposed to external shocks.     

Market risk model selection and medium-term risk with limited data: Application to ocean tanker freight markets

The estimation of medium-term market risk dictated by limited data availability, is a challenging issue of concern amongst academics and practitioners. This paper addresses the issue by exploiting the concepts of volatility and quantile scaling in order to determine the best method for extrapolating medium-term risk forecasts from high frequency data. Additionally, market risk model selection is investigated for a new dataset on ocean tanker freight rates, which refer to the income of the capital good — tanker vessels. Certain idiosyncrasies inherent in the very competitive shipping freight rate markets, such as excessive volatility, cyclicality of returns and the medium-term investment horizons – found in few other markets – make these issues challenging. Findings indicate that medium-term risk exposures can be estimated accurately by using an empirical scaling law which outperforms the conventional scaling laws of the square and tail index root of time. Regarding the market risk model selection for short-term investment horizons, findings contradict most studies on conventional financial assets: interestingly, freight rate market risk quantification favors simpler specifications, such as the GARCH and the historical simulation models.     

Demand for rural tourism: the effects of quality and information

The development of rural tourism is regarded as a promising diversification strategy especially for lagging and mountainous areas of the European Union. Research concerning the demand and/or supply of rural tourism services has been limited within the agricultural economics domain despite the significance attached to rural tourism by various rural development policy measures and initiatives. The article examines the expenditure behavior of rural tourists within a framework of demand for composite (heterogeneous) goods. The proposed framework captures the quality of the tourism experience as the commodity's unit value, a quantifiable economic variable, examines its effects on expenditures and allows for the estimation of elasticity in prices regarding expenditure and quantity. Empirical analysis is facilitated by a survey recording the expenditure behavior of 465 tourists in two rural and lagging areas of Greece. The quality of the tourism experience is significantly and positively affected by the income, the source from which information about the trip is retrieved (Internet, newspapers as well as general press and special travel press) and by the amount of information sought by the consumer prior to the trip. In turn, the quality of the tourism experience is the major endogenous factor that positively influences expenditures for rural tourism. Further research is needed before evidence provided in this work can be used to draw policy conclusions and recommendations.     

International Evidence on Import Demand

The paper examines import demand behavior in five industrial countries, namely France, Italy, the Netherlands, the UK, and the US. It uses econometric techniques organized around maximum likelihood cointegration analysis, dynamic OLS and fully modified estimation to estimate long-run import demand functions. In addition, we examine the short-run dynamics of import demand by using impulse response functions based on VAR analysis. The empirical results indicate the importance of relative prices and domestic demand for most countries examined.     

What motivates R&D professionals? Evidence from decentralized laboratories in Greece

The challenge for research and development (R&D) professionals management is to meet the corporate objectives for effectiveness, productivity and profitability with the needs of technical employees for motivation, reward and satisfaction. Despite the continuous upgrading of the strategic importance of knowledge and technology, human resource management paid little attention to the distinctive characteristics of those highly educated knowledge workers, especially in an international perspective. Based on a large-scale survey of multinational enterprises' (MNEs') decentralized R&D laboratories in Greece, this paper offers insights on the perceived impact of intrinsic and extrinsic compensation on performance. Focused on three distinctive types of research implemented by MNEs, results record the existence of a multifaceted context of researchers' needs and satisfaction determinants, which is differentiated among the different roles of R&D laboratories. Our findings witness that in an EU peripheral economy, R&D professionals are motivated by extrinsic rewards and mainly by economic compensation.     

Model-free versus Model-based Volatility Prediction

The well-known ARCH/GARCH models for financial time series havebeen criticized of late for their poor performance in volatilityprediction, that is, prediction of squared returns.¹ Focusingon three representative data series, namely a foreign exchangeseries (Yen vs. Dollar), a stock index series (the S&P500index), and a stock price series (IBM), the case is made thatfinancial returns may not possess a finite fourth moment. Takingthis into account, we show how and why ARCH/GARCH models—whenproperly applied and evaluated—actually do have nontrivialpredictive validity for volatility. Furthermore, we show howa simple model-free variation on the ARCH theme can performeven better in that respect. The model-free approach is basedon a novel normalizing and variance–stabilizing transformation(NoVaS, for short) that can be seen as an alternative to parametricmodeling. Properties of this transformation are discussed, andpractical algorithms for optimizing it are given.     

Job Creation by Assisted Rural Firms: a European North-South Perspective

The present paper reports results from a comparative analysis of the effectiveness of regional policy schemes in areas of Scotland and Greece. Discretionary schemes are of a lower gross cost per job than automatic ones in both countries. Additionality was found to be very high among all schemes in both countries. Results indicate that future policy design should be decentralised and highly adapted to local conditions. In the case of Greece, the dominant top-bottom style of policy making acts as major constraints in the adoption of more decentralised policy design and delivery mechanisms. In the case of Scotland such a task is easier to accomplish.     

Trading and Investing in Volatility Products

Since the banking crisis the market for volatility exchange‐traded products has developed rapidly as it opens to clients beyond the large institutional investor pool. Speculation is driven by increasingly complex leveraged and inverse exposures including those that attempt to trade on significant roll costs in volatility futures curves. Longer‐term investors use these products for the purposes of equity diversification, driven by fears of an ongoing Eurozone crisis. We survey the burgeoning academic literature in this area and present a comprehensive and up‐to‐date comparison of the market and statistical characteristics of European and US exchange‐traded volatility products.     

Starting Your Career With a Fixed-Term Job: Stepping-Stone or “Dead End”?

This paper uses panel data from the UK and Germany to investigate the difference in the learning effect between workers who enter the labour market with a fixed term and a permanent job. Our results verify the existence of a wage penalty for entering the labour market with a fixed-term contract for the British males (7.1%) and especially for the British females (21.2%). British females also have a very strong learning effect that is especially large for temporary starters. In Germany, the initial wage penalty for temporary starters is smaller than in the UK—4.5% for the males and 3% for the females—and is persistent only for the males. Although initial wage differences are mitigated through the accumulation of skills on the job, this process differs between temporary and permanent starters. This suggests that the type of the starting contract may be a feature of labour market segmentation.     

Local block bootstrap inference for trending time series

Resampling for stationary sequences has been well studied in the last couple of decades. In the paper at hand, we focus on nonstationary time series data where the nonstationarity is due to a slowly-changing deterministic trend. We show that the local block bootstrap methodology is appropriate for inference under this locally stationary setting without the need of detrending the data. We prove the asymptotic consistency of the local block bootstrap in the smooth trend model, and complement the theoretical results by a finite-sample simulation.